No to both I do not even know what it is for never mind deleting it.
Assuming this is not a computer at your place of work and controlled by
domain policy, we can skip the script possibility.
There are several different programs give the user the option to delete
recent *items.* Note that this is items in the Recent folder - not the
entire folder.
Examples of some programs that do this: CC Cleaner, a variety of registry
cleaners, internet security programs such as Norton's Internet Security and
probably a few of the "tweaking" programs. Tweaking programs let you adjust
some user settings that the XP interface does not (or the setting is buried
and difficult to get to).
Some of these programs might lump temporary internet files (the cache your
preferred browser uses for pulling down web pages quickly from the
internet) into "recent files."
Suggestions:
If the notice at shutdown is offering to delete recent *items* - it's up to
you whether you want to okay it or not. If you okay it, you lose the
convenience of the history trail used by Start> Recent Documents and/or
your web browser's "History" features.
If the notice is truly saying that it is trying to delete the system folder
named Recent than you have one of two things going on:
1) A program that is not written well. It is mistakenly trying to delete
the entire folder instead of its contents.
2) You have malware on your system that is trying to delete a folder that
it shouldn't. You had malware on your system and it was not removed
entirely.
For #1: Get acquainted with the programs you have installed on your
computer that might address "recent" history. Change settings or, if this
is a misbehaving program - uninstall it.
For #2: Whenever your computer does something "odd" (and wanting to delete
a system folder at every shutdown falls in that category) scan the system
thoroughly with an up to date antivirus program and an up to date
anti-spyware program. "Up to date" means using the latest definitions that
those programs have to offer.